Any-utility neutral and indifference pricing and hedging

DOI10.3233/RDA-2012-0085zbMath1294.91055OpenAlexW750891430MaRDI QIDQ2877542

Srdjan D. Stojanovic

Publication date: 22 August 2014

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/rda-2012-0085

zbMATH Keywords

hedgingindifference pricingneutral pricingfundamental matrix of pricing and hedging

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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